Cross-sectional averaging and instrumental variable estimation with many weak instruments
AbstractThe present paper suggests a new way to carry out IV estimation with many instruments. Our suggestion is to cross-sectionally average the instruments and use these averages as instruments. We provide a theoretical and Monte Carlo analysis of this approach.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 108 (2010)
Issue (Month): 1 (July)
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Web page: http://www.elsevier.com/locate/ecolet
Instrumental variable estimation 2SLS Cross-sectional average;
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